Overall Summary | ||
---|---|---|
Model | Benchmark | |
Start Date | 2000-01-01 | 2000-01-01 |
End Date | 2021-04-09 | 2021-04-09 |
Time Elapsed | 21 years, 3 months | 21 years, 3 months |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $238,751.51 | $393,468.16 |
CAGR % | 4.18% | 6.65% |
Max % Drawdown | (60.11%) | (14.90%) |
Standard Deviation | 4.82% | 1.94% |
Annualized Sharpe | 0.15 | 0.55 |
MAR Ratio | 0.07 | 0.45 |
Win Rate % | 0.0% | 47.7% |
Avg Win / Loss Ratio | — | 3.17 |
Expectancy | — | $0.99 |
Avg Win % | 0.00% | 4.20% |
Avg Loss % | 0.00% | (0.95%) |
Longest Drawdown Duration | 75.7 months | 30.5 months |
Avg Trades Per Year | 0.00 | 4.04 |
Equity Breakdown | ||
---|---|---|
Model | Benchmark | |
Starting Equity | $100,000.00 | $100,000.00 |
Ending Equity | $238,751.51 | $393,468.16 |
Open Equity | $138,751.51 | $61,985.63 |
Gross Profit | $0.00 | $335,684.24 |
Gross Loss | $0.00 | ($116,266.12) |
Net Profit | $0.00 | $219,418.12 |
Net Long Profit | $0.00 | $219,418.12 |
Net Short Profit | $0.00 | $0.00 |
Net Long Profit as % of Net Profit | — | 100.0% |
Net Short Profit as % of Net Profit | — | 0.0% |
Earned Dividends | $0.00 | $0.00 |
Earned Interest | $0.00 | $12,064.42 |
Margin Interest | $0.00 | $0.00 |
Total Slippage | $0.00 | $0.00 |
Total Forex Carry | $0.00 | $0.00 |
Total Commissions | $0.00 | $0.00 |
Expenses | ||
---|---|---|
Model | Benchmark | |
Margin Interest | $0.00 | $0.00 |
Total Commissions | $0.00 | $0.00 |
Round Turns | 0.0 | 896.0 |
Commissions Per Round Turn | $0.00 | $0.00 |
Slippage Per Round Turn | $0.00 | $0.00 |
Risk / Reward | ||
---|---|---|
Model | Benchmark | |
MAR Ratio | 0.07 | 0.45 |
Calmar Ratio | 0.07 | 0.61 |
Modified Sharpe Ratio | 0.33 | 0.99 |
Robust Sharpe Ratio | 0.32 | 0.92 |
R-Squared | 0.7680 | 0.9112 |
Profit Expectation | ||
---|---|---|
Model | Benchmark | |
CAGR % | 4.18% | 6.65% |
RAR | 5.30% | 6.17% |
Profit Factor | 0.00 | 2.89 |
Percent Profit Factor | 0.00 | 4.02 |
Expectancy | — | $0.99 |
Percentage Expectancy | 0.00 | 0.08 |
Total Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Max % Drawdown | (60.11%) | (14.90%) |
Longest Drawdown Duration | 75.7 months | 30.5 months |
Max Monthly % Drawdown | (56.36%) | (10.84%) |
Avg of Top-5 Max % Drawdowns | (37.52%) | (10.71%) |
Avg Duration of Top-5 Longest Drawdowns | 39.4 months | 21.0 months |
Avg of All % Drawdowns | (3.59%) | (1.35%) |
Std Dev of All % Drawdowns | 9.23% | 2.13% |
Closed Equity Drawdowns | ||
---|---|---|
Model | Benchmark | |
Closed-Equity Max % Drawdown | 0.00% | (8.54%) |
Closed-Equity Max Monthly % Drawdown | 0.00% | (8.54%) |
Closed-Equity Avg of All % Drawdown | 0.00% | (2.92%) |
Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.40% |
Trades | ||
---|---|---|
Model | Benchmark | |
Win Rate % | 0.0% | 47.7% |
Lose Rate % | 0.0% | 52.3% |
Winning Trades | 0 | 41 |
Losing Trades | 0 | 45 |
Total Trades | 0 | 86 |
Max Consecutive Wins | 0 | 6 |
Max Consecutive Losses | 0 | 8 |
Avg Trade Duration | 0.0 days | 299.1 days |
Avg Winning Trade Duration | 0.0 days | 538.8 days |
Avg Losing Trade Duration | 0.0 days | 80.8 days |
Largest Winning Trade | $0.00 | $35,849.10 |
Largest Losing Trade | $0.00 | ($9,079.40) |
Largest Win as % of Net Profit | — | 16.34% |
Avg Win | $0.00 | $8,187.42 |
Avg Loss | $0.00 | ($2,583.69) |
Avg Win / Loss Ratio | — | 3.17 |
Avg Trade | $0.00 | $2,551.37 |
Avg Win % | 0.00% | 4.20% |
Avg Loss % | 0.00% | (0.95%) |
Avg Trade % | 0.00% | 1.50% |
Avg Risk % | 0.00% | (18.01%) |
Avg Trades Per Year | 0.00 | 4.04 |
Avg Trades Per Month | 0.00 | 0.34 |
Avg Trades Per Day | 0.00 | 0.01 |
Monthly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Months % | 57.4% | 66.8% |
Losing Months % | 42.6% | 33.2% |
Winning Months | 147 | 171 |
Losing Months | 109 | 85 |
Total Months | 256 | 256 |
Max Consecutive Winning Months | 13 | 11 |
Max Consecutive Losing Months | 6 | 4 |
Yearly Win / Loss Profile | ||
---|---|---|
Model | Benchmark | |
Winning Years % | 63.6% | 86.4% |
Losing Years % | 36.4% | 13.6% |
Winning Years | 14 | 19 |
Losing Years | 8 | 3 |
Total Years | 22 | 22 |
Max Consecutive Winning Years | 5 | 8 |
Max Consecutive Losing Years | 3 | 1 |
Rolling Periods | ||
---|---|---|
Model | Benchmark | |
Rolling 3-Month Win Rate | 58.7% | 66.5% |
Rolling 6-Month Win Rate | 62.2% | 75.3% |
Rolling 12-Month Win Rate | 60.4% | 77.6% |
Rolling 3-Year Win Rate | 70.0% | 100.0% |
Rolling 5-Year Win Rate | 83.3% | 100.0% |
Rolling 10-Year Win Rate | 100.0% | 100.0% |
Rolling 3-Month Periods | 254 | 254 |
Rolling 6-Month Periods | 251 | 251 |
Rolling 12-Month Periods | 245 | 245 |
Rolling 3-Year Periods | 20 | 20 |
Rolling 5-Year Periods | 18 | 18 |
Rolling 10-Year Periods | 13 | 13 |